Identifying the Most Relevant Lag with Runs

2. Referencia: Faura, U, Lafuente, M, Matilla-García, M y M. Ruiz: “Identifying the Most Relevant Lag with Runs”. 2024, Entropy, 17(5):2706-2722.

ABSTRACT In this paper, we propose a nonparametric statistical tool to identify the most relevant lag in the model description of a time series. It is also shown that it can be used for model identification. The statistic is based on the number of runs, when the time series is symbolized depending on the empirical…

A permutation entropy based test for causality: The volume–stock price relation’

2. Referencia: Matilla-García, M, Ruiz, M y Mohammed Dore: “A permutation entropy based test for causality: The volume–stock price relation’”. 2024, Physica A, 98, pp. 280-288 (2014).

ABSTRACT The purpose of this paper is to propose a newly developed non-parametric test for linear and nonlinear causality based on permutation entropy and to show its usefulness in analyzing the potential causal relationship between trading volume and security prices. Most of the empirical applications and tests for causality rely on using Granger causality based…